摘要
本文基于风险调整后收益(RAROC)最大化这一经营目标,构建了关于银行作为证券化发行人的最优风险自留比例模型,并在此基础上引入了投资人决策模型,形成了包括发行人和投资人的均衡模型,并进行了静态模拟分析。结果表明,在特定条件下发行人存在最优风险自留比例,但会随着自留债券的风险调整后收益的变化而变化;并且由于发行人拥有信息优势,可以通过技术性措施主动调整上述指标。因此,若设定统一的最低风险自留要求,会降低风险自留比例的信号传递功能,提高“逆向选择”可能,不利于证券化市场发展。有必要根据发行人风险偏好、基础资产情况设定不同的最低风险自留要求,同时也可以提高最低档次自留债券要求,以达成发行人和投资人的风险收益平衡。
Based on the risk-adjusted return(RAROC)maximization hypothesis,this paper constructs an optimal risk retention model of the bank issuer,introducing investor decision-making strategy,which develops an equilibrium model including both the issuer and the investor.We also conducted a static simulation analysis.The results show that under the specific conditions,the issuer has the optimal risk retention ratio,but it will change with the risk-adjusted income of the self-retaining bonds,and because the issuer has the information advantage,the above indicators can be actively adjusted through technical measures.Therefore,the signal transmission function of the risk retention will be reduced while setting a unified minimum risk retention requirement,and the possibility of“reverse selection”may be improved.It is necessary to set different minimum risk retention requirements according to the issuer's risk appetite and basic assets,and also to raise the minimum grade of self-retaining bond requirements to achieve the risk-benefit balance between issuers and investors.
作者
幸丽霞
王雅炯
郭铭
XING Lixia;WANG Yajiong;GUO Ming
出处
《金融监管研究》
CSSCI
北大核心
2020年第12期64-77,共14页
Financial Regulation Research
基金
中央高校基本科研业务费项目(项目编号:2019QG01)
中国矿业大学(北京)大学生创新训练项目资助(项目编号:C202005006)资助。
关键词
证券化
风险调整后收益
风险自留比例
均衡模型
Securitization
Risk-adjusted Returns
Risk Retention Ratio
Equilibrium Model
